ec63bffaa2
Modifies CoarseFundamentalTop5Algorithm
...
Renames CoarseUniverseTop5DollarVolumeAlgorithm.cs to CoarseFundamentalTop5Algorithm.cs: fine name was unconsistent with class name (not a QuantConnect pattern).
Adds Log method calls to python algorithm that are present in C# example.
2018-05-10 19:44:19 +01:00
5006600166
Modifies RenkoConsolidatorAlgorithm data resolution
...
Subscribe to daily data instead of minute-resolution to be able to run tests locally. Also, liquidate the position in one of the event handlers to generate more trades.
- Adds regression test for that algorithm.
2018-05-10 19:44:18 +01:00
bc4a752985
Merge pull request #1987 from AlexCatarino/feature-1985-adds-universe-selectin-security-initializer-example
...
Adds universe selection algorithm with custom security initilizer
2018-05-10 14:28:54 -04:00
f77c0ae792
Consistency fix
2018-05-10 15:47:51 +01:00
f23ef2a60c
Uses the simplest SetSecurityInitializer overload in the examples.
2018-05-10 12:20:05 +01:00
24af1bd7cd
Adds universe selection algorithm with custom security initilizer
2018-05-10 11:58:11 +01:00
042028096b
Refactors CompositeAlphaModel constructors
...
Changes the constructor that accepted an array to accept params array and adds a new constructor to deal with a single model addition.
2018-05-09 22:36:33 +01:00
ff574b9d86
Fixes EmaCrossUniverseSelectionModel indicator update logic
...
Instead of using the `&&` operator, use `&` so that both EMA are updated.
2018-05-08 19:47:20 +01:00
5d6dea6473
Simplify EmaCrossUniverseSelectionModel by using list instread of dict
2018-05-08 18:54:17 +01:00
04f357f2b8
Implements python version of EmaCrossUniverseSelectionModel
...
Adds EmaCrossUniverseSelectionModel and EmaCrossUniverseSelectionFrameworkAlgorithm to show the new model in action
2018-05-08 18:54:17 +01:00
0a2f7032c2
Merge pull request #1964 from AlexCatarino/feature-1962-deprecate-action-scheduleevent
...
Updates examples with ScheduleEvents
2018-05-07 09:38:01 -04:00
f3c6c7202a
Updates Algorithm.Python and Algorithm.PythonTools projects
2018-05-07 14:19:51 +01:00
e7c1fbd556
Updates examples with ScheduleEvents
2018-05-07 12:53:38 +01:00
88b97bd8e4
Adds overload to ScheduleManager.On method that accepts a PyObject parameter
...
Adding an overload to `ScheduleManager.On` method that accepts a `PyObject` parameter enables python algorithm to pass a method as parameter directly.
- Fixes `ScheduleEventsAlgorithm` to show the new feature in action.
2018-05-07 12:05:00 +01:00
61b5859446
Implements SectorExposureRiskFrameworkAlgorithm
...
This algorithm and its regression test are meant to test the `MaximumSectorExposureRiskManagementModel`.
2018-05-03 21:53:14 +01:00
d878857e50
Merge pull request #1938 from StefanoRaggi/feature-1093-ib-time-in-force-day
...
Add TimeInForce.Day support in backtesting and IB brokerage
2018-05-03 14:33:40 -04:00
4eb896bbee
Merge pull request #1946 from jingwu74/master
...
Fix issue of no traded options in OptionChainProviderAlgorithm
2018-05-02 20:36:55 -04:00
c25afbad29
Add fill/update/cancel times to order object
...
LastFillTime is updated on each partial/fill order event
LastUpdateTime is updated on each submitted order event w/ update count > 0
CancelTime is updated on canceled order events
Also fixes bug in regression algorithm where it used Time instead of UtcTime
for creating the SubmitOrderRequest object.
2018-05-02 14:16:33 -04:00
7569467f45
fix bugs of no traded options
2018-05-01 15:34:40 -04:00
2d19ab7ead
Review TimeInForce handler interface
...
- removed IAlgorithm dependency from time in force handlers
- renamed GoodTilCancelled to GoodTilCanceled
- added GTC time in force in regression algorithms
- inlined initialization of time in force handler dictionary
2018-05-01 20:53:43 +02:00
38ac2c5d72
Add TimeInForceAlgorithm regression tests
2018-04-30 20:18:18 +02:00
11489b3edf
Modifies BasicTemplateFrameworkAlgorithm
...
- Use `MaximumDrawdownPercentPerSecurity` as `RiskManagementModel`.
- Modifies regression test to reflect risk model choice
- Use SetXXX to set models in python version
2018-04-27 23:08:53 +01:00
991b15a6d1
Adds python version of PairsTradingAlphaModelFrameworkAlgorithm
2018-04-25 13:45:44 +01:00
0c8119de8a
Merge pull request #1889 from AlexCatarino/feature-1884-python-execution-models
...
Adds python version of execution model examples
2018-04-19 13:24:27 -04:00
4722e1cab5
Adds python version of execution models regression algorithms
2018-04-19 12:53:29 +01:00
c4cde0e06d
Adds python version of CompositeAlphaModelFrameworkAlgorithm
2018-04-19 11:32:33 +01:00
b0265ba7f5
Adds support to python selectors in Renko Consolidators
2018-04-16 14:39:25 +01:00
35e8e0891e
Fixes RenkoConsolidator for python
...
- Missing `event` keyword prevented pythonnet to recognize `DataConsolidated` as a event handler.
- Adds python version of `RenkoConsolidatorAlgorithm`.
2018-04-16 13:39:16 +01:00
eb9e15c507
Merge pull request #1866 from jingwu74/master
...
Use available resolution in options and futures algorithms
2018-04-13 15:58:56 -04:00
4c98817c9e
change the benchmark setting
2018-04-12 18:33:01 -04:00
699bfe0812
Merge pull request #1861 from StefanoRaggi/bug-1820-crypto-basic-template
...
Update BasicTemplateCryptoAlgorithm to include crypto specific features
2018-04-12 17:05:07 -04:00
4c86c5f3df
change the resolution of option history request to minute
2018-04-12 16:54:57 -04:00
955366ee48
change the resolution to minute for futures history request
2018-04-12 15:39:59 -04:00
41d539140f
Fixes MeanVarianceOptimizationAlgorithm
...
Passes the selector method directly to the algorithm. Also, use `self.SetXXX` (closes #1856 ) for setting all the models.
2018-04-12 19:32:55 +01:00
db1149b169
Adds python version of ScheduledUniverseSelectionModelRegressionAlgorithm
2018-04-12 17:09:54 +01:00
b2027c9022
Update BasicTemplateCryptoAlgorithm to include crypto specific features
...
Fixes #1820
2018-04-12 11:04:49 +02:00
61dce36ff9
Fixes readme
2018-04-09 19:04:11 +01:00
248926c644
Updates macOS installation instructions
2018-04-09 18:59:59 +01:00
a4db921b87
Updates pythonnet
...
Rebase with pythonnet/master
2018-04-09 18:59:59 +01:00
f32f351a4d
Merge pull request #1832 from AlexCatarino/feature-1798-adds-meanvariancemodel
...
Implements MeanVarianceOptimizationAlgorithm
2018-04-08 20:27:17 -04:00
35edb6f802
Updates to use "UniverseSelection" property
...
The old name "PortfolioSelection" still on the example code. Updated to UniverseSelection
2018-04-08 20:21:48 -04:00
59e6451caf
Update to consistently use properties setters
2018-04-08 20:17:12 -04:00
1d6e21af2c
Use CoarseFundamentalUniverseSelectionModel in MeanVarianceOptimizationAlgorithm
...
With this universe selection model, we can show the consequences of a security removal from the universe
2018-04-06 19:46:19 +01:00
133d2cd461
Implements peer-review requests
...
1. `HistoricalReturnsAlphaModel`:
1. Adds lookback period for return calculation
2. Adds return-depend direction to insights
3. Refactors indicator history warm-up
2. `MeanVarianceOptimizationPortfolioConstructionModel`:
1. Adds lookback period for return calculation
2. Adds exception for null magnitude
3. Refactors indicator history warm-up
3. Other minor fixes:
1. Default target return was 2 instead of 0.02 (2%)
2. Proper removal of consolidator subscriptions
2018-04-06 00:28:05 +01:00
92238a02fc
Implements MeanVarianceOptimizationAlgorithm
...
This framework algorithm alpha model is HistoricalReturnsAlphaModel and the portfolio construction model is MeanVarianceOptimizationPortfolioConstructionModel.
This examples implements an algorithm that rebalances the portfolio according to modern portfolio theory.
2018-04-06 00:28:05 +01:00
b1ac56d63c
Fix capitalization of QC acronyms
2018-03-29 15:30:05 -04:00
c5704a1cd4
Rename SimplePortfolioConstructionModel -> EqualWeightingPortoflioConstructionModel
...
The simple name was too simple and too vague. Equal weighting nicely
describes the purpose and intent of this model
2018-03-26 17:33:13 -04:00
b22f8f3cbf
Merge pull request #1773 from Jay-Jay-D/bug-1772-Intrinio-error-too-many-requests
...
Intrinio error fixed, Python port and regression test added
2018-03-26 12:11:06 -04:00
b2b541483f
Intrinio template modified, C# regression test added
...
Intrinio Python port added
Python regression test added
RateGate implemented in static IntrinioConfig
Clean stuff
Intrinio C# regression test pass
Intrinio working, Python port, C# regression test
2018-03-26 09:41:10 -03:00
543698f1f9
Updates installation instructions of python support on Linux
...
By default, miniconda is installed in the users' home directory, therefore the instalation instructions were changed to keep it simple.
2018-03-26 12:33:30 +01:00
AlexCatarino